Using the Cboe’s VIX futures historic data and interpolations/extrapolations for contracts that were not traded I developed a continuous time series for 7 months of VIX futures settlement values. I then used that data, plus treasury bill data to compute the indexes that underly the popular long and short volatility Exchange Traded Products (ETPs) in the USA. This product includes two spreadsheets, one that …
Why is mid or medium-term volatility defined as being 4 to 7 months out? In January 2009 Barclays introduced VXZ, the first medium-term volatility Exchange Traded Product (ETP). Its tracking index (SPVXMP) relies on 4 to 7-month VIX futures. I suspect that range was selected because historically (2004 through 2008) the term structure on the 4th through 7th-month VIX futures was relatively flat but still tracked …
The CBOE’s VIX index gets mainstream exposure as the “fear index”, but there’s a lot more to volatility watching than the VIX. The VIX does a good job of measuring the current level of anxiety in the market, but it has some problems. Among other things it’s: Not a good predictor of the future Often does not move in the direction people expect (opposite the …
The volume of CBOE’s Weeklyssm options has grown rapidly since they expanded their listings into equities and Exchange Traded Products in June 2010. Now weekly options comprise almost 30% of the CBOE’s average daily option volume. The list of available weekly options is available on the CBOE website. Among other things, option traders take advantage of the Weeklys to position themselves for earnings releases, harvest rapid …
On Friday, December 14th, Credit Suisse announced a 10:1 reverse split of TVIX, effective the 21st. I had pretty much given up on TVIX because its price had slid way past the logical reverse split point and has traded below $1 for the last 16 trading days. However instead of fading to black TVIX is now back into a reasonable trading range. In February 2012 Credit Suisse …
